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Article Dans Une Revue Monte Carlo Methods and Applications Année : 2017

Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes

Résumé

Abstract In this paper, we study a third weak order scheme for diffusion processes which has been introduced by Alfonsi [

Dates et versions

hal-03940169 , version 1 (15-01-2023)

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Clément Rey. Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes. Monte Carlo Methods and Applications, 2017, 23 (1), pp.1-12. ⟨10.1515/mcma-2016-0120⟩. ⟨hal-03940169⟩
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